Abstract Using the longest spanning monthly data ever studied in the empirical literature, dating back to 1870, we investigate the relationship between the money supply and the stock market in the United Kingdom. In the context of bivariate and multivariate structural generalized autoregressive conditional heteroskedasticity (GARCH)-in-Mean VAR models, we document that increased money growth volatility has significant negative effects on the stock market. Our results are broadly consistent with the empirical literature and provide conclusive evidence that increased uncertainty about the growth rate of money, has a negative and statistically significant effect on economic activity. Also, accounting for money growth uncertainty, we find that an unanticipated increase (decrease) in money growth leads to fall (rise) in the unemployment rate and the interest rate and to a rise (fall) in share prices.

中文翻译：

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一个半世纪的货币基础股票市场关系

摘要 利用实证文献中研究过的最长跨度月度数据，可追溯到 1870 年，我们调查了英国货币供应量与股票市场之间的关系。在二元和多元结构广义自回归条件异方差 (GARCH) 均值 VAR 模型的背景下，我们记录了货币增长波动性的增加对股市具有显着的负面影响。我们的结果与实证文献大体一致，并提供了确凿的证据，表明货币增长率的不确定性增加，对经济活动具有负面和统计上的显着影响。此外，考虑到货币增长的不确定性，